S&P 100 Index (OEX) (OX) Option Volatility Analysis

Daily S&P 100 Index (OEX) Option Analysis - Wed, June 6, 2001
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Month
JUN
JUL
AUG
SEP
DEC
Synthetic
Foward Price
656.85
658.60
659.90
661.80
666.60
Days Left
10
45
73
108
199
Implied ATM
Volatility
18.43%
20.09%
20.93%
21.33%
21.62%
Last Trading Date
Fri, Jun. 15, 2001
Fri, Jul. 20, 2001
Fri, Aug. 17, 2001
Fri, Sep. 21, 2001
Fri, Dec. 21, 2001

Historical v. Implied Volatility Graphs
Historical Volatility Tables
Implied Standard Deviations

JUN Implied Volatility v. 1-Month Historical Volatility
January 3, 2010 - June 6, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

JUN Futures
January 3, 2010 - June 6, 2010

Days to Options Expiration v. Futures Price

JUL Implied Volatility v. 1-Month Historical Volatility
March 19, 2010 - June 6, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

AUG Implied Volatility v. 1-Month Historical Volatility
April 23, 2010 - June 6, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

SEP Implied Volatility v. 1-Month Historical Volatility
February 20, 2010 - June 6, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

SEP Futures
February 20, 2010 - June 6, 2010

Days to Options Expiration v. Futures Price

DEC Implied Volatility v. 1-Month Historical Volatility
May 21, 2010 - June 6, 2010

Days to Options Expiration v. Volatility (percent)
Solid line is Implied Volatility

DEC Futures
May 21, 2010 - June 6, 2010

Days to Options Expiration v. Futures Price

Historical Volatilities for OX

1-Week 2-Week 1-Month 6-Week 2-Month 3-Month 4-Month 6-Month

JUN
SEP
DEC
8.15%
8.56%
8.29%
22.27%
22.42%
22.32%
16.90%
16.03%
n/a
17.29%
16.50%
n/a
19.63%
18.90%
n/a
28.23%
27.81%
n/a
28.20%
n/a
n/a
n/a
n/a
n/a

	1-Week	2-Week	1-Month	6-Week	2-Month	3-Month	4-Month	6-Month
JUN SEP DEC	8.15% 8.56% 8.29%	22.27% 22.42% 22.32%	16.90% 16.03% n/a	17.29% 16.50% n/a	19.63% 18.90% n/a	28.23% 27.81% n/a	28.20% n/a n/a	n/a n/a n/a

Implied Standard Deviations for OX

1-Day 3-Day 1-Week 2-Week 1-Month 2-Month 3-Month ATM Vol.

JUN
JUL
AUG
SEP
DEC
6.34
6.92
7.23
7.39
7.54
10.98
11.99
12.52
12.80
13.07
16.77
18.32
19.13
19.55
19.96
23.71
25.91
27.05
27.65
28.22
34.71
37.93
39.60
40.48
41.32
49.50
54.09
56.47
57.72
58.92
60.46
66.06
68.97
70.49
71.96
18.43%
20.09%
20.93%
21.33%
21.62%

	1-Day	3-Day	1-Week	2-Week	1-Month	2-Month	3-Month	ATM Vol.
JUN JUL AUG SEP DEC	6.34 6.92 7.23 7.39 7.54	10.98 11.99 12.52 12.80 13.07	16.77 18.32 19.13 19.55 19.96	23.71 25.91 27.05 27.65 28.22	34.71 37.93 39.60 40.48 41.32	49.50 54.09 56.47 57.72 58.92	60.46 66.06 68.97 70.49 71.96	18.43% 20.09% 20.93% 21.33% 21.62%

JUN - OX Next (JUL) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

480
500
520
530
540
550
560
570
580
590
595
600
605
610
615
620
625
630
635
640
645
650
655*
660
665
670
675
680
685
690
695
700
705
710
715
720
725
730
740
760
780
800
820
840
860
880

17760
15750
13750
12760
11760
10760
9760
8770
7770
6780
6290
5790
5270
4785
4285
3805
3325
2865
2415
2000
1590
1230
910
625
460
292
185
110
63
38
22
17
13
8
5
5
5
5
5
5
5
5
5
5
5
5

5
5
5
5
5
5
5
8
10
13
15
20
32
52
65
85
120
148
208
283
390
500
725
985
1295
1670
2095
2545
3005
3495
3985
4485
4985
5490
5990
6490
6990
7490
8490
10490
12490
14500
16500
18500
20500
22500

17685
15685
13685
12685
11685
10685
9685
8685
7685
6685
6185
5685
5185
4687
4193
3704
3224
2759
2315
1900
1520
1183
893
653
461
314
206
130
79
46
26
14
7
4
2
1
---
---
---
---
---
---
---
---
---
---

---
---
---
---
---
---
---
---
---
---
---
1
2
5
11
22
42
77
133
217
336
499
708
968
1275
1628
2019
2443
2891
3358
3838
4326
4819
5316
5815
6315
6815
7315
8315
10315
12315
14315
16315
18315
20315
22315

+75
+65
+65
+75
+75
+75
+75
+85
+85
+95
+105
+105
+85
+98
+92
+101
+101
+106
+100
+100
+70
+47
+17
-28
-1
-22
-21
-20
-17
-9
-3
+4
+5
+4
+3
+4
+5
+5
+5
+5
+5
+5
+5
+5
+5
+5

+5
+5
+5
+5
+5
+5
+5
+7
+10
+12
+15
+19
+30
+48
+54
+63
+78
+70
+75
+66
+54
+1
+17
+17
+20
+42
+76
+102
+114
+137
+147
+159
+166
+174
+175
+175
+175
+175
+175
+175
+175
+185
+185
+185
+185
+185

----
----
----
70.07
64.79
59.57
54.39
50.36
45.18
40.90
39.08
36.43
32.26
30.74
28.06
26.54
24.75
23.58
22.31
21.62
20.35
19.59
18.82
17.78
18.40
17.81
17.70
17.53
17.41
17.67
18.00
19.09
19.86
20.13
20.67
22.15
23.62
25.07
27.90
33.36
38.59
43.61
48.44
53.11
57.62
61.99

67.98
59.82
51.92
48.05
44.23
40.46
36.73
34.57
31.86
28.80
27.50
26.57
26.49
26.52
25.22
24.17
23.56
22.05
21.41
20.57
19.91
18.46
18.82
18.84
18.92
19.61
20.88
22.37
23.76
26.07
28.23
30.75
33.21
35.87
38.23
40.54
42.80
45.03
49.36
57.65
65.50
73.77
80.97
----
----
----

*1.00
*1.00
*1.00
.97
.97
.97
.97
.96
.96
.95
.94
.94
.94
.93
.92
.91
.89
.86
.82
.77
.71
.63
.54
.44
.35
.26
.18
.12
.07
.05
.03
.02
.02
.01
.01
.01
.01
.01
.01
.00
.00
.00
.00
.00
.00
.00

-.00
-.00
-.00
-.00
-.00
-.00
-.00
-.01
-.01
-.01
-.01
-.02
-.03
-.04
-.05
-.07
-.10
-.12
-.17
-.22
-.28
-.36
-.46
-.55
-.65
-.72
-.78
-.82
-.85
-.87
-.88
-.89
-.90
-.90
-.90
-.91
-.91
-.92
-.92
-.93
-.94
-.94
-.94
*-1.00
*-1.00
*-1.00

.01
.01
.01
.07
.07
.08
.08
.09
.10
.12
.13
.13
.13
.14
.15
.18
.20
.24
.28
.33
.37
.41
.43
.43
.40
.36
.32
.28
.25
.23
.21
.20
.20
.19
.18
.18
.17
.17
.16
.14
.13
.13
.12
.01
.01
.01

0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.2
0.2
0.3
0.4
0.5
0.7
0.8
1
1
2
2
2
2
2
2
1
1
0.9
0.8
0.6
0.6
0.5
0.4
0.4
0.4
0.3
0.3
0.3
0.2
0.2
0.1
0.1
0.0
0.0
0.0

2.2
2.1
2.1
2.1
2.1
2.0
2.0
2.8
3.6
4.2
4.8
6.1
8.9
13
15
17
22
24
29
33
37
38
42
41
39
36
34
32
30
30
30
31
32
34
34
35
36
37
38
40
42
46
47
2.2
2.2
2.2

70
60
60
70
70
70
70
77
75
83
90
85
53
47
35
35
20
32
22
32
15
45
0
45
20
63
95
120
127
143
147
152
157
168
170
170
170
170
170
170
170
180
180
180
180
180

JUN Fut=656.85 Days=10 atmVol=18.43% IntRate = 4.50%

JUN Volatility Skew
Last Trading Date: June 15, 2001

Strike v. Volatilitywww.pmpublishing.com

JUL - OX Next (AUG) - Previous (JUN) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

440
460
480
500
520
540
560
570
580
590
600
610
620
630
640
650
660*
665
670
675
680
685
690
695
700
710
720
730
740
760

21910
19930
17940
15950
13980
12020
10070
9110
8170
7250
6360
5450
4615
3785
3025
2345
1770
1510
1280
1070
885
725
595
475
380
245
148
100
68
35

20
30
30
32
50
80
135
175
240
310
395
515
675
885
1140
1480
1910
2155
2445
2745
3075
3435
3825
4225
4645
5540
6500
7500
8500
10500

21860
19860
17860
15860
13860
11860
9860
8871
7898
6948
6030
5153
4331
3574
2892
2292
1777
1552
1348
1163
998
852
723
609
511
353
238
156
101
39

---
---
---
---
---
3
16
32
62
112
192
313
488
727
1040
1436
1917
2189
2482
2796
3129
3480
3849
4234
4633
5471
6354
7270
8214
10154

+50
+70
+80
+90
+120
+160
+210
+239
+272
+302
+330
+297
+284
+211
+133
+53
-7
-42
-68
-93
-113
-127
-128
-134
-131
-108
-90
-56
-33
-4

+20
+30
+30
+32
+50
+77
+119
+143
+178
+198
+203
+202
+187
+158
+100
+44
-7
-34
-37
-51
-54
-45
-24
-9
+12
+69
+146
+230
+286
+346

59.00
54.78
49.60
44.48
40.49
36.61
32.67
30.97
29.57
28.32
27.26
25.45
24.40
22.88
21.67
20.68
20.01
19.63
19.34
19.02
18.73
18.48
18.36
18.12
17.99
17.96
17.78
18.20
18.60
19.77

46.71
44.20
39.49
35.31
32.84
30.56
28.55
27.54
26.90
25.89
24.77
23.84
22.99
22.20
21.28
20.58
20.01
19.71
19.67
19.50
19.45
19.52
19.77
19.97
20.27
21.32
23.15
25.60
27.95
32.45

.98
.98
.97
.97
.96
.95
.93
.91
.90
.87
.84
.81
.77
.72
.66
.58
.50
.46
.41
.37
.32
.28
.24
.21
.17
.12
.08
.06
.04
.02

-.01
-.01
-.01
-.01
-.02
-.03
-.05
-.06
-.08
-.10
-.13
-.17
-.21
-.27
-.34
-.41
-.50
-.54
-.58
-.62
-.67
-.70
-.73
-.77
-.79
-.83
-.85
-.86
-.87
-.88

.09
.12
.14
.16
.19
.24
.31
.35
.40
.47
.54
.61
.69
.77
.84
.90
.92
.91
.90
.87
.84
.79
.75
.70
.65
.57
.52
.50
.48
.44

0.0
0.0
0.0
0.0
0.1
0.1
0.1
0.2
0.2
0.3
0.4
0.5
0.5
0.6
0.7
0.8
0.9
0.9
0.9
0.8
0.8
0.8
0.7
0.7
0.6
0.5
0.4
0.4
0.3
0.3

1.8
2.5
2.5
2.6
3.6
5.0
7.2
8.5
10
12
14
15
17
19
20
20
20
20
20
19
18
17
16
16
15
14
13
14
15
16

30
40
50
58
70
80
75
75
70
80
105
75
80
40
25
5
0
5
25
35
50
70
90
110
125
155
212
260
292
325

JUL Fut=658.60 Days=45 atmVol=20.09% IntRate = 4.50%

JUL Volatility Skew
Last Trading Date: July 20, 2001

Strike v. Volatilitywww.pmpublishing.com

AUG - OX Next (SEP) - Previous (JUL) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

480
500
520
540
560
580
590
600
610
620
630
640
650
660*
670
680
690
700
710
720
730
740
750
760

17990
16030
14090
12180
10310
8490
7610
6740
5920
5090
4370
3670
3020
2440
1925
1485
1115
820
590
415
288
195
140
95

50
85
135
210
325
495
600
710
920
1135
1375
1675
2025
2450
2940
3520
4170
4910
5720
6590
7530
8500
9500
10500

17990
15990
13990
11991
10036
8166
7275
6424
5617
4861
4162
3524
2950
2441
1995
1611
1286
1013
789
607
461
347
258
189

---
2
10
32
91
221
328
472
660
898
1193
1548
1967
2451
2998
3607
4275
4996
5766
6578
7428
8309
9216
10146

0
+40
+100
+189
+274
+324
+335
+316
+303
+229
+208
+146
+70
-1
-70
-126
-171
-193
-199
-192
-174
-152
-118
-94

+50
+83
+125
+178
+234
+274
+272
+238
+260
+237
+182
+127
+58
-1
-58
-87
-105
-86
-46
+12
+102
+191
+284
+354

----
33.37
32.06
30.54
28.92
27.16
26.32
25.31
24.59
23.40
22.97
22.26
21.54
20.93
20.33
19.81
19.32
18.93
18.61
18.35
18.17
18.01
18.17
18.16

33.44
32.22
30.75
29.23
27.76
26.25
25.37
24.27
24.08
23.48
22.72
22.09
21.44
20.93
20.43
20.16
19.94
20.05
20.42
21.08
22.38
23.94
25.85
27.71

*.99
.98
.96
.94
.91
.87
.84
.81
.77
.74
.69
.64
.58
.51
.45
.38
.32
.25
.20
.15
.11
.08
.06
.04

-.01
-.02
-.04
-.05
-.08
-.12
-.15
-.17
-.21
-.26
-.30
-.36
-.42
-.48
-.54
-.61
-.67
-.73
-.77
-.81
-.83
-.84
-.85
-.86

.10
.16
.24
.34
.47
.62
.70
.78
.87
.95
1.03
1.10
1.14
1.17
1.16
1.12
1.05
.97
.88
.79
.73
.69
.67
.65

0.0
0.1
0.1
0.1
0.2
0.3
0.3
0.4
0.4
0.5
0.5
0.6
0.6
0.6
0.7
0.6
0.6
0.6
0.5
0.4
0.4
0.3
0.3
0.3

2.3
3.5
4.8
6.5
8.5
11
12
13
14
15
16
16
17
17
16
15
14
13
12
11
11
11
12
12

50
45
35
20
5
5
20
40
10
35
5
5
5
0
5
25
45
80
120
165
233
295
350
395

AUG Fut=659.90 Days=73 atmVol=20.93% IntRate = 4.50%

AUG Volatility Skew
Last Trading Date: August 17, 2001

Strike v. Volatilitywww.pmpublishing.com

SEP - OX Next (DEC) - Previous (AUG) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

440
460
480
500
520
540
560
580
600
620
640
660*
680
700
720
740
760
780
800

22210
20260
18320
16390
14450
12580
10770
9020
7360
5740
4340
3130
2130
1355
810
455
250
135
70

55
85
125
185
265
385
550
770
1115
1555
2150
2950
3970
5250
6790
8550
10490
12510
14550

22180
20180
18180
16180
14180
12220
10339
8563
6925
5456
4183
3116
2254
1584
1082
718
464
292
179

---
2
6
17
46
110
235
453
803
1317
2024
2938
4056
5367
6846
8467
10201
12022
13909

+30
+80
+140
+210
+270
+360
+431
+457
+435
+284
+157
+14
-124
-229
-272
-263
-214
-157
-109

+55
+83
+119
+168
+219
+275
+315
+317
+312
+238
+126
+12
-86
-117
-56
+83
+289
+488
+641

40.22
38.88
36.96
34.77
31.94
30.16
28.64
27.11
25.68
23.72
22.51
21.43
20.44
19.55
18.86
18.33
18.09
18.02
17.96

34.71
33.47
32.06
30.77
29.35
28.10
26.81
25.43
24.49
23.33
22.27
21.42
20.72
20.43
20.83
22.20
24.88
28.24
31.70

.98
.97
.96
.94
.93
.90
.87
.83
.77
.71
.63
.53
.42
.31
.22
.14
.09
.05
.03

-.01
-.02
-.03
-.04
-.06
-.08
-.11
-.15
-.21
-.28
-.36
-.46
-.57
-.67
-.75
-.80
-.83
-.84
-.84

.13
.21
.29
.38
.45
.58
.72
.88
1.05
1.21
1.34
1.42
1.40
1.28
1.12
.97
.89
.86
.84

0.0
0.0
0.1
0.1
0.1
0.1
0.2
0.3
0.3
0.4
0.5
0.5
0.5
0.5
0.4
0.3
0.3
0.2
0.2

1.8
2.5
3.3
4.3
5.4
6.8
8.3
9.8
12
13
14
14
13
12
11
10.0
10
11
12

25
5
15
25
5
15
40
70
65
5
10
0
20
75
160
275
420
555
660

SEP Fut=661.80 Days=108 atmVol=21.33% IntRate = 4.50%

SEP Volatility Skew
Last Trading Date: September 21, 2001

Strike v. Volatilitywww.pmpublishing.com

DEC - OX Previous (SEP) - Top

SETTLE (CLOSE)

FAIR VALUE

TICKS OVER FAIR

IMPLIED VOLATILITY

IMPLIED DELTA

VEGA

GAMMA

THETA

C/R

STRIKE

Call

Put

Call

Put

Call

Put

Call

Put

Call

Put

(ticks)

500
520
540
560
580
600
620
640
660*
680
700
720
740
760
780

17050
15250
13490
11790
10160
8610
7080
5730
4530
3490
2590
1865
1295
880
580

465
630
850
1125
1455
1885
2410
3070
3870
4830
5980
7320
8860
10590
12510

16668
14745
12909
11174
9554
8064
6717
5520
4475
3579
2826
2202
1695
1289
969

129
238
411
667
1029
1514
2136
2906
3826
4896
6108
7452
8914
10481
12138

+382
+505
+581
+616
+606
+546
+363
+210
+55
-89
-236
-337
-400
-409
-389

+336
+392
+439
+458
+426
+371
+274
+164
+44
-66
-128
-132
-54
+109
+372

30.49
29.51
28.41
27.34
26.29
25.24
23.78
22.77
21.91
21.16
20.36
19.70
19.10
18.68
18.31

28.42
27.54
26.74
25.89
24.93
24.10
23.25
22.52
21.85
21.28
20.94
20.87
21.29
22.36
24.41

.92
.89
.86
.82
.78
.73
.68
.62
.55
.47
.39
.32
.25
.19
.13

-.07
-.09
-.12
-.15
-.19
-.24
-.30
-.36
-.44
-.51
-.59
-.65
-.71
-.75
-.78

.68
.85
1.02
1.20
1.38
1.55
1.70
1.83
1.91
1.93
1.87
1.76
1.62
1.48
1.40

0.1
0.1
0.2
0.2
0.2
0.3
0.3
0.3
0.4
0.4
0.4
0.3
0.3
0.3
0.2

4.6
5.5
6.5
7.5
8.3
9.1
9.7
10
10
10
9.6
9.1
8.5
8.3
8.6

75
40
20
5
45
65
10
0
0
0
50
115
225
370
590

DEC Fut=666.60 Days=199 atmVol=21.62% IntRate = 4.50%

DEC Volatility Skew
Last Trading Date: December 21, 2001

Strike v. Volatilitywww.pmpublishing.com

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